scientific article; zbMATH DE number 1098821

zbMATH Open0884.62128MaRDI QIDQ4368993FDOQ4368993

Authors: F. Jay Breidt, Alicia L. Carriquiry 

Publication date: 28 January 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

transformationsexcess kurtosisquasi-maximum likelihoodinliers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (7)

• Quasi-maximum likelihood estimation for multiple volatility shifts
• Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Testing for a slowly changing level with special reference to stochastic volatility
• Estimation and asymptotic covariance matrix for stochastic volatility models
• Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
• Analytical quasi maximum likelihood inference in multivariate volatility models

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